Purpose - This paper measures different market risk impacts on options portfolios under the new Fundamental Review of … estimate a portfolio's risk capital and presents an illustration applied to an option position. Second, it proposes a … application is developed to measure expected shortfall (ES) and value at risk (VaR) impacts under FRTB versus conventional VaR in …

uncertainty (EPU) index. The present work determines the association among policy uncertainty and volatility index, expressed in …. The results suggest that equity markets' volatility tends to be very high based on a high degree of policy uncertainty … that implied volatility index is a forward looking expectation of future stock market volatility, and it uncovers that …

This study examined the asymmetric effects of major uncertainty and volatility indices (economic policy uncertainty …, Chicago Board Options Exchange crude oil volatility, CBOE volatility index, CBOE VIX volatility, and NASDAQ 100 volatility … effects of global uncertainty and market volatilities on energy markets. For all uncertainty and volatility measures, we found …

The study empirically assesses how macroprudential policy interacts with systemic risk, industrial production, and … production. The latter has an inverse bidirectional linkage with systemic risk. Thus, an ex-ante tight macroprudential policy can … indirectly mitigate global systemic risk through its pro-growth effect on industrial production, although no convincing evidence …